Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0023 |
| Annualized Std Dev | 0.2129 |
| Annualized Sharpe (Rf=0%) | 0.0108 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 2928.0000 |
| NAs | 1.0000 |
| Minimum | -0.1201 |
| Quartile 1 | -0.0067 |
| Median | 0.0004 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0072 |
| Maximum | 0.0807 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0004 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0002 |
| Stdev | 0.0134 |
| Skewness | -0.6263 |
| Kurtosis | 7.8949 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0098 |
| Gain Deviation | 0.0088 |
| Loss Deviation | 0.0102 |
| Downside Deviation (MAR=210%) | 0.0147 |
| Downside Deviation (Rf=0%) | 0.0098 |
| Downside Deviation (0%) | 0.0098 |
| Maximum Drawdown | 0.5460 |
| Historical VaR (95%) | -0.0206 |
| Historical ES (95%) | -0.0316 |
| Modified VaR (95%) | -0.0221 |
| Modified ES (95%) | -0.0463 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2014-09-04 | 2020-03-23 | NA | -0.5460 | 1619 | 1381 | NA |
| 2011-04-25 | 2011-10-03 | 2014-08-27 | -0.3243 | 842 | 113 | 729 |
| 2010-01-20 | 2010-05-25 | 2010-09-30 | -0.1570 | 177 | 88 | 89 |
| 2009-08-04 | 2009-09-02 | 2009-10-13 | -0.0977 | 50 | 22 | 28 |
| 2009-07-02 | 2009-07-08 | 2009-07-15 | -0.0763 | 9 | 4 | 5 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | NA | NA | NA | NA | NA | 1.2 | 0.9 | -0.7 | -2.2 | -3.4 | 2.4 | 0.2 | -1.6 |
| 2010 | 2.6 | 1.4 | 1.3 | -1.4 | -1.2 | 1.1 | 1.3 | 1.8 | 1.1 | 0.7 | 2.1 | 0.6 | 12.1 |
| 2011 | 1.1 | -0.5 | 1.5 | 0.1 | -1.7 | 1 | -0.2 | -0.1 | -3.5 | -2.8 | -1 | -0.2 | -6.4 |
| 2012 | 2.7 | 1.3 | -0.1 | 1.1 | -0.8 | 3.4 | 0.6 | 0.3 | 0.9 | 1.5 | -0.2 | 0.6 | 11.8 |
| 2013 | 1.2 | 0.1 | -0.3 | -1 | -1.3 | -0.2 | 1.7 | 0.7 | 1.2 | 0.1 | 0.6 | 0.1 | 2.9 |
| 2014 | 0 | -1.1 | 0.7 | 0.3 | -0.4 | 0.6 | 0.4 | 0.9 | -2.1 | 0.6 | -2.5 | 0.4 | -2.4 |
| 2015 | -2.2 | 0.9 | 1.8 | 0.9 | 0.5 | -0.6 | 0.9 | -2.9 | 0.7 | -0.4 | 1.2 | 0.2 | 0.8 |
| 2016 | -0.4 | 2.8 | 0.2 | -0.5 | -1.3 | 0.5 | -0.6 | -0.5 | 0.3 | -1.6 | -2 | -0.2 | -3.2 |
| 2017 | 0.3 | 1.5 | 0.3 | 0.4 | 0.5 | 1.1 | 0 | 0.9 | 1.1 | -1.3 | 0.4 | 1.2 | 6.6 |
| 2018 | 0.1 | -0.6 | 1.9 | -0.9 | 0 | 2 | -1.3 | 0 | 0.4 | 2.9 | -0.9 | -0.5 | 3.1 |
| 2019 | 0.3 | -0.3 | 0.4 | 0.3 | 0 | 1.6 | 1.1 | 0.4 | 0.6 | 0.6 | -1.2 | 0.1 | 3.9 |
| 2020 | -2 | -1.9 | -4.4 | -4.5 | 0.4 | 1.2 | -2 | 0.7 | 0.3 | -0.4 | 3.8 | -0.6 | -9.5 |
| 2021 | 2.1 | 0.8 | -0.4 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 2.5 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2009-06-19 24.5 SPY 92.0 0.0037 -0.0265 0.0226 0.207 -0.311 -0.252 -0.185 GLD 91.9 0.0032 -0.00290
2 2009-06-22 23.9 SPY 89.3 -0.03 -0.039 0.0008 0.0859 -0.322 -0.280 -0.211 GLD 90.5 -0.0148 -0.0061
3 2009-06-23 23.8 SPY 89.4 0.0008 -0.025 0.0037 0.109 -0.320 -0.285 -0.215 GLD 90.9 0.0042 -0.011
4 2009-06-24 24.3 SPY 90.1 0.0086 -0.0156 -0.0129 0.106 -0.313 -0.276 -0.215 GLD 91.4 0.00580 -0.0097
5 2009-06-25 24.4 SPY 92.1 0.0218 -0.0015 0.0269 0.108 -0.301 -0.26 -0.195 GLD 92.3 0.0094 0.0076
6 2009-06-26 24.9 SPY 91.8 -0.0026 -0.0022 0.0101 0.125 -0.284 -0.265 -0.193 GLD 92.3 -0.0002 0.0042
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
